3. Numerically Solving PDE’s: Crank-Nicholson Algorithm

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3. Numerically Solving PDE’s: Crank-Nicholson Algorithm This note provides a brief introduction to finite difference methods for solv-ing partial differential equations. We focus on the case of a pde in one state variable plus time. Suppose one wishes to find the function u(x,t) satisfying the pde au xx +bu x +cu−u t = 0 (12)

  Solving, Equations, Solv, Solv ing